Threshold autoregressive model with multiple threshold variables.

• Other Authors: Chen, Haiqiang.
• Format: Others
• Language: English; Chinese
• Published: 2005
• Subjects: Econometric models; Estimation theory > Econometric models; Stocks > Prices > Econometric models; Autoregression (Statistics); Bootstrap (Statistics)
• Online Access: http://library.cuhk.edu.hk/record=b5892601; http://repository.lib.cuhk.edu.hk/en/item/cuhk-325253

Chen Haiqiang. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. === Includes bibliographical references (leaves 33-35). === Abstracts in English and Chinese. === Chapter 1. --- Introduction --- p.1 === Chapter 2. --- The Model --- p.4 === Chapter 3. --- Least Squares Estimations --- p.6 === Chapter 4. --- Inference --- p.7 === Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7 === Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13 === Chapter 5. --- Modeling --- p.16 === Chapter 5.1 --- Generic Consistency of the Threshold Estimators under specification errors --- p.17 === Chapter 5.2 --- Modeling Procedure --- p.20 === Chapter 6. --- Monte Carlo Simulations --- p.21 === Chapter 7. --- Empirical Application in the Financial Market --- p.24 === Chapter 7.1 --- Data Description --- p.26 === Chapter 7.2 --- Estimated Results --- p.26 === Chapter 8. --- Conclusion --- p.30 === References --- p.33 === Appendix 1: Proof of theorem1 --- p.36 === Appendix 2: Proof of theorem2 --- p.39 === Appendix 3: Proof of theorem3 --- p.43 === List of Graph --- p.49